Hi Cecilia,
I believe you mean XML to PDF using XSLT files. There is no standard function in PowerBuilder to perform that file conversion.
However, there is existing software to do that conversion (like Apache Cocoon). I would consider using such a software component. From PowerBuilder you would shuffle around the required files and perform the required calls to automate the process.
More info on Apache Cocoon => https://cocoon.apache.org/2.1/howto/howto-html-pdf-publishing.html
HTH /Michael